The purpose of this study is to determine whether Nivolumab, in combination with brentuximab vedotin, is safe and effective in patients with certain subtypes of non-Hodgkin's lymphomas with CD30 expression that have not responded to treatment or have come back. The subtypes we are studying are Diffuse Large B-Cell Lymphoma (DLBCL), Peripheral T-Cell Lymphoma (PTCL), Cutaneous T-Cell Lymphoma (CTCL), Primary Mediastinal Large B-Cell Lymphoma (PMBL) and Mediastinal Gray Zone Lymphoma (MGZL).